Comparison of some approaches for analysis of stochastic systems with short correlation time noise

We give a strict comparison of the diffusion, Bourret, and van Kampen approximations in the analysis of stochastic equations with short correlation time disturbances through the example of a random harmonic oscillator. We show that the diffusion approximation does not always gives satisfactory results.

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Year of publication:	1992
Authors:	Bobryk, Roman V.
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 184.1992, 3, p. 458-476
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010873531